Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Jiangsu Nata Opto-electronic Material Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Jiangsu Nata Opto-electronic Material Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.5%, MDD -39.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.5%, drawdown -72.3%).
Sharpe leader (same as main): Supertrend — CAGR 20.5%, MDD -39.6%, Sharpe 0.69, 40% exposure.
Return/drawdown alternative: Supertrend — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 20.5%, MDD -39.6%, exposure 40%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=2.5 |
20.5% | -39.6% | 0.69 | 0.52 | 13.5x | 116 | 40% |
| MACD fast=8, slow=29, signal=13 |
15.8% | -64.6% | 0.58 | 0.25 | 7.8x | 232 | 52% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=28, mult=1.5 |
14.3% | -41.7% | 0.57 | 0.34 | 6.5x | 104 | 25% |
| Donchian 채널 돌파 entryN=6, exitN=45 |
14.3% | -74.7% | 0.52 | 0.19 | 6.5x | 69 | 84% |
| 볼린저 밴드 돌파 n=17, k=1.4 |
11.3% | -56.3% | 0.48 | 0.20 | 4.5x | 194 | 36% |
| SMA 크로스오버 fast=45, slow=112 |
10.4% | -75.0% | 0.45 | 0.14 | 4.0x | 35 | 51% |
| ROC 모멘텀 n=114, threshold=0.06 |
7.4% | -69.8% | 0.38 | 0.11 | 2.7x | 106 | 46% |
| Parabolic SAR step=0.015, maxStep=0.3 |
7.2% | -68.3% | 0.38 | 0.11 | 2.6x | 226 | 47% |
| EMA 크로스오버 fast=6, slow=119 |
5.6% | -70.5% | 0.35 | 0.08 | 2.1x | 82 | 53% |
| ADX / DI 방향성 period=10, threshold=27 |
4.2% | -59.7% | 0.30 | 0.07 | 1.8x | 168 | 31% |
| Buy and hold | 15.5% | -72.3% | 0.54 | 0.21 | 7.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 2.5× band
- Sell — Sell when price drops below the trend line (flips down)